On Windows and Mac the binary libraries for GSL will need to be
installed. On Linux you will also need the header files for these libraries.
You can find GSL for different platforms here:
1. Linux: http://www.gnu.org/software/gsl/
2. Mac:
https://trac.macports.org/browser/trunk/dports/math/gsl/Portfile
https://trac.macports.org/browser/trunk/dports/math/gsl-devel/Portfile
3. Windows: http://gnuwin32.sourceforge.net/packages/gsl.htm
If your getting compile errors that look like:
./f2c.h:283:15: error: exception specification in declaration does not match previous declaration
extern double erfc(double) throw();
make sure you don't have the '-pedantic' flag set anywhere, such as in your ~/.R/Makevars file.